Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0120
Annualized Std Dev 0.2576
Annualized Sharpe (Rf=0%) 0.0465

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1558
Quartile 1 -0.0079
Median 0.0000
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0081
Maximum 0.1550
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0162
Skewness 0.2290
Kurtosis 7.6631

Downside Risk

Close
Semi Deviation 0.0114
Gain Deviation 0.0119
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.6745
Historical VaR (95%) -0.0253
Historical ES (95%) -0.0375
Modified VaR (95%) -0.0229
Modified ES (95%) -0.0272
From Trough To Depth Length To Trough Recovery
1999-09-15 2009-03-09 NA -0.6745 5413 2384 NA
1999-05-07 1999-05-27 1999-06-16 -0.1338 28 15 13
1999-06-22 1999-08-06 1999-09-10 -0.1280 57 33 24
1999-02-02 1999-03-04 1999-03-09 -0.1111 25 22 3
1999-03-12 1999-03-24 1999-04-08 -0.0690 19 9 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.8 -1.7 2.2 -1.3 1.5 -0.6 -0.7 1.9 2 0 -2.6 2 3.3
2000 0.7 -0.7 3.1 1.6 2.6 0 1.8 -1.6 -0.9 -0.9 1.9 4.4 12.5
2001 -1.2 -1 -0.8 2.8 0.5 2 0.2 -1.1 -2.6 0.2 1.2 -1.5 -1.4
2002 -1.1 0 -1.8 1.5 0.3 -1.5 -1.2 -1.6 1.9 1.4 3.2 0 1
2003 0.7 -0.9 0.7 0 1 3.6 -1.2 0.2 2.3 -1.8 3 1.4 9.2
2004 1.1 0.9 -2 -1.3 -0.9 -1.5 -0.5 0.2 1.5 -1.2 2 1.4 -0.3
2005 0.2 0.6 0.8 2.4 -0.3 1.7 0.8 0.6 1.1 4.6 1.1 -0.4 13.8
2006 -0.1 0.5 -0.8 2.4 -0.2 0.5 -0.4 0.6 -0.2 -0.9 -0.5 0.6 1.5
2007 1 -1.4 -0.5 -0.8 1.6 0.2 -2.3 2.3 1.3 -2.3 0.8 1.1 1
2008 0.4 -1.1 2.5 0.8 0.8 0 -1.3 -0.8 0.7 -2.1 -5.3 0.6 -4.9
2009 -3.3 -0.3 -0.5 0.5 1.1 1.8 0.2 -1.2 -3.3 -1 3.8 0.6 -1.9
2010 1.9 0.2 1.4 -0.2 -1.1 -0.2 -0.2 0.4 0.6 -0.2 3 0.8 6.4
2011 1.8 -0.2 -0.3 0.2 -0.8 0.2 1.1 0 -1.5 0 -1 0.5 -0.1
2012 1.9 0.5 0.7 0.4 -2.2 1 -0.1 -0.5 0.6 0 1 0.9 4.1
2013 0.9 0.8 -2.7 0.5 0.5 0.3 2.5 -1.1 0.4 -0.4 1 -0.2 2.4
2014 0.5 0.6 -0.6 1.7 0 2.2 -0.5 -0.1 -0.7 4 0.2 -2.9 4.2
2015 -1.3 0 -0.5 0.6 0.2 0.4 -0.1 -3.7 0.4 -0.5 0.9 -0.5 -4.2
2016 0.9 2.3 -2 0 -0.5 0.5 0.4 0.2 -0.5 0.2 0 0.8 2.2
2017 1.3 0.6 -0.9 -0.2 0 0.2 0.6 -0.3 -0.2 0.4 -1.2 0.5 0.7
2018 0.8 -2.7 0.8 -0.8 0.1 0.1 1.5 0.1 0 0.1 -0.5 1.1 0.5
2019 -1.2 -0.1 1.9 -0.1 -1.6 2 -0.4 0.4 -0.3 1.1 -1 -0.5 0.1
2020 -0.8 -3.2 -4.6 -2.8 1.4 -3.1 -2.2 0 1 -0.1 1.4 -1.9 -14.2
2021 0.3 1.4 0.3 NA NA NA NA NA NA NA NA NA 2.1

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart